Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 5 6
Score -5.91 -3.9 -3.74
Market Cap (Millions USD) 17.5 16.88 18.04
Predicted Beta 0.26 0.27 0.28
Idiosyncratic Volatility 0.98 1.06 1.75

Annualized return and volatility

ADRA
Annualized Return 0.0695
Annualized Std Dev 0.2341
Annualized Sharpe (Rf=0%) 0.2968

Row

Daily Return Statistics

ADRA
Observations 4381.0000
NAs 733.0000
Minimum -0.1159
Quartile 1 -0.0058
Median 0.0000
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0070
Maximum 0.1791
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0147
Skewness 0.3581
Kurtosis 11.6137

Downside Risk

ADRA
Semi Deviation 0.0104
Gain Deviation 0.0115
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.5920
Historical VaR (95%) -0.0223
Historical ES (95%) -0.0350
Modified VaR (95%) -0.0189
Modified ES (95%) -0.0189
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2015-04-22 -0.5920 1915 273 1642
2015-04-28 2016-02-11 2017-06-08 -0.2946 541 204 337
2018-01-30 2018-12-21 NA -0.2481 489 231 NA
2006-05-10 2006-06-13 2007-01-23 -0.2148 180 24 156
2004-04-06 2004-05-17 2004-12-31 -0.1791 189 30 159

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ADRA
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2003 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 2.0 0.0 2.1
2004 0.0 2.2 0.1 0.0 -0.1 -0.4 0.0 0.7 1.9 -0.3 1.0 0.0 5.2
2005 0.4 0.1 -0.2 0.0 0.8 0.0 0.7 0.9 0.0 0.8 1.9 0.0 5.5
2006 -0.3 0.7 0.0 0.3 1.0 0.0 -1.6 0.8 0.0 -0.6 -0.7 0.0 -0.3
2007 1.0 -1.2 0.0 0.5 1.0 0.0 -2.2 0.0 2.3 -3.6 0.0 0.0 -2.3
2008 2.3 0.0 3.6 0.9 0.0 -1.0 -1.0 0.0 -0.7 0.0 -6.7 0.0 -3.0
2009 0.0 0.0 4.0 1.2 3.4 1.1 0.0 -1.5 -2.9 0.0 2.8 0.0 8.1
2010 2.4 1.1 1.5 0.0 -2.2 -0.5 0.0 2.6 1.2 0.2 2.3 0.0 8.6
2011 1.9 -0.2 0.5 0.0 -0.9 0.6 -0.4 0.2 0.0 -2.2 -0.6 0.0 -1.2
2012 1.4 0.8 0.0 -0.8 -1.8 0.0 -0.7 0.0 0.0 -0.4 0.0 0.0 -1.4
2013 0.9 -0.2 -2.0 -1.2 0.0 1.7 1.5 0.0 -0.4 0.8 0.0 0.0 1.2
2014 0.0 0.0 0.6 -1.4 0.0 0.4 0.7 0.0 -0.9 0.0 -1.6 0.0 -2.1
2015 0.0 0.0 -0.2 0.3 0.0 -0.4 0.0 -3.8 2.0 0.0 2.8 0.0 0.5
2016 1.8 0.9 -1.4 0.0 -0.1 0.0 0.8 1.0 0.0 0.0 -0.9 0.0 1.9
2017 0.3 1.0 0.0 0.5 0.5 0.0 0.8 0.7 0.0 1.3 -1.1 0.0 4.0
2018 -0.5 -1.5 0.0 0.0 0.8 0.0 -1.0 0.0 0.0 2.4 0.0 0.0 0.1
2019 -0.6 0.0 2.5 0.7 0.0 1.5 -1.3 0.0 -2.6 1.2 0.0 -0.3 1.1

Row

Rolling Performance Chart

Snail Trail Chart